二级另类投资

CFA二级另类投资考点汇总

1. Valuation of Real Estate

1)income approach:

●Direct capitalization method:

Step 1: Calculate NOI1 , the net operating income for the

first year.

Step 2: The current yield on the investment could be

defined as:

Recent comparable transaction price could be used:

step 3: Rearranging the previous formula

●Stabilized NOI: V0’=V0-V loss(有装修的情况下,导致第一年

的NOI减少,可以先假设没有任何装修的情况下用

Direct capitalization method计算现值,再把由于装修导

致的NOI的损失折现,两者相减)

●All Risks Yield (ARY):

●Gross Income Multiplier:

●Discounted Cash Flow Method (sell)

●NOI n+1is the NOI of first year ownership for the next

investor.

●Assuming NOI is growing at a constant rate, g, and r >g.

●Term and Reversion Approach:(竖着切一刀,两块CF相

加,注意CF发生在哪一段,我就用哪一段的折现率)

●Layer method:(横着切一刀,两块CF相加,注意CF发生

在哪一段,我就用哪一段的折现率)

2)Cost approach:

Replacement cost

-curable cost

-incurable cost(depreciation)

-functional obsolescence

-locational obsolescence

-economic obsolescence=reproduction cost

+market value of the land

=value of real estate

3)Sales Comparison Approach:找到几个类似的房子和目标房

子,把所有的相同点和不同点全部拉出来,进行比较.然后把类似公司调成目标房子的情况,如果是调差了,那么把房价调减,如果调好了,把房价往上调,随后算出每个类似房子的单价求平均,最后乘以目标房子的面积即可).

2.Financial Ratios Used to Analyze debt:

3.REITS的定价:

➢NAVPS:

Estimated cash NOI (this year)

÷Assumed cap rate

= Estimated value of operating real estate

+ Cash and accounts receivable

- Debt and other liabilities

= Net asset value

÷Shares outstanding

DSCR

LTV

= NAV / share

FFO:

Accounting net earnings

+ Depreciation expense

+ Deferred tax expenses (i.e., deferred tax liabilities)

- Gains from sales of property and debt restructuring

+ Losses from sales of property and debt restructuring

= Funds from operations

- Non-cash (straight-line) rent adjustment

- Recurring maintenance‐type capital expenditures and

leasing commissions

= AFFO (adjusted funds from operations)

4)PE估值

➢VC法:两阶段

Step 1: Calculating the compound discount rate

Step 2: Post Money Valuation (round 2) POST2 = FV/ (1+ r2)n2 Step 3: Pre Money Valuation (round 2) PRE2 = POST2–

INV2

Step 4: Post Money Valuation (round 1) POST1 = PRE2 / (1+ r1)n1

Step 5: Pre Money Valuation (round 1) PRE1 = POST1–

INV1

Step 6: Ownership Fraction (round 2) f2 = INV2 / POST2

Step 7: Ownership Fraction (round 1)

f1 = INV1 / POST1

Step 8: No. of the shares to be held by the PE firm

S pe1 = S e1 [f1 /(1‐f1)]

Step 9: Price per share after financing (round 1)

P1 = INV1 / S pe1

Step 10&11: Price per share after financing (round 2)

S pe2 = (S founder + S pe1) [f2 /(1‐f2)]

P2 = INV2 / S pe2

➢Buyout法:画饼图,具体请参照讲义上的例题

5)大宗商品:

➢Backwardation means that the term structure will have a negative trend.

Futures prices will be lower than the current spot price.

Basis=S-FP>0

Calendar spread=FPnear- FPdistant>0

➢Contango means that the term structure will have a positive trend.

Futures prices will be higher than the current spot price.

Basis=S-FP<0

Calendar spread=FPnear- FPdistant<0